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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 許振明(Chen-Min Hsu) | |
| dc.contributor.author | Tien-Yi Yang | en |
| dc.contributor.author | 楊天逸 | zh_TW |
| dc.date.accessioned | 2021-06-13T02:04:58Z | - |
| dc.date.available | 2009-07-06 | |
| dc.date.copyright | 2007-07-06 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-02 | |
| dc.identifier.citation | 1. 吳懿娟 （2003），「我國金融危機預警系統之研究」，中央銀行季刊，第二十五卷，第三期，頁5-42。
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(2000), “Fixing for Your Life.” NBER Working Paper, No.8006. 13. Calvo, G., and Reinhart, C. (2002), “Fear of Floating.” Quarterly Journal of Economics, Vol.117, No.2, pp.379-408. 14. Caprio, G., and Klingelbiel ,D. (2003), “Episodes of Systemic and Borderline Crises.”, Mimeo, World Bank. 15. Caprio, G., and Klingelbiel, D. (1996), “Bank Insolvencies: Cross-country Experience.”, World Bank Working Paper, No.1620. 16. Chang, R., and Velasco, A. (1998), “Financial Fragility and the Exchange Rate Regime.” NBER Working Paper, No.6469. 17. Demirgüç-Kunt, A., and Detragiache, E. (1998), “The Determinants of Banking Crises in Developing and Developed Countries.” International Monetary Fund Staff Papers, Vol.45, No.1, pp.81-109. 18. Demirgüç-Kunt, A., and Detragiache, E. (1999), “Financial Liberalization and Financial Fragility.” World Bank Working Paper, No.1917. 19. Diaz-Alejandro, C. (1985), “Good-bye Financial Repression, Hello Financial Crash.” Journal of Development Economics, Vol.19, No.1-2, pp.1-24. 20. Domaç, I., and Martinez Peria, M. (2003), “Banking Crises and Exchange Rate Regimes: Is There a Link?” Journal of International Economics, Vol.61, No.1, pp.41-72. 21. Drees, B., and Pazarbaşioğlu, C. (1995), “The Nordic Banking Crises: Pitfalls in Financial Liberalization?” IMF Working Paper, No.61. 22. Eichengreen, B. (2002), “When to Dollarize.” Journal of Money, Credit, and Banking, Vol.34, No.1, pp.1-24. 23. Eichengreen, B., and Arteta, C. (2000), “Banking Crises in Emerging Markets: Presumptions and Evidence.” CIDER Working Paper, No.115. 24. Eichengreen, B., and Hausmann, R. (1999), “Exchange Rates and Financial Fragility.” NBER Working Paper, No.7418. 25. Eichengreen, B., and Rose, A. (1998), “Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises.” NBER Working Paper, No.6370. 26. Flood, R., and Garber, P. (1984), “Collapsing Exchange-Rate Regimes: Some Linear Examples.” Journal of International Economics, Vol.17, No.1-2, pp.1-13. 27. Hardy, D., and Pazarbasioglu, C. (1998), “Leading Indicators of Banking Crises-Was Asia Different?” IMF Working Paper, No.91. 28. Hausmann, R., Gavin, M., Pages Serra, C.,and Stein, E. (1999), “Financial Turmoil and the Choice of Exchange Rate Regime.”, Mimeo, Inter-American Development Bank. 29. Kaminsky, G. (1999), “Currency and Banking Crises: The Early Warnings of Distress.” IMF Working Paper, No.178. 30. Kaminsky, G., and Reinhart, C. (1999), “The Twin Crises: The Causes of Banking and Balance-of-Payments Problems.” American Economic Review, Vol.89, No.3, pp.473-500. 31. Kaminsky, G., and Schmukler, S. (2003), “Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization.” IMF Working Paper, No.34. 32. Kaminsky, G., Lizondo, S., and Reinhart, C. (1998), “Leading Indicators of Currency Crises.” International Monetary Fund Staff Papers, Vol.45, No.1, pp.1-48. 33. Kibritçioğlu, A. (2002), “Excessive Risk-Taking, Banking Sector Fragility, and Banking Crises.” Research Working Paper. 34. Krugman, P. (1979), “A Model of Balance-of-Payments Crises.” Journal of Money, Credit, and Banking, Vol.11, No.3, pp.311-325. 35. Levy-Yeyati, E., and Sturzenegger, F. (2005), “Classifying Exchange Rate Regimes: Deeds vs. Words.” European Economic Review, Vol.49, No.6, pp.1603-1635. 36. Levy-Yeyati, E., Sturzenegger, F., and Reggio I. (2006), “On the Endogeneity of Exchange Rate Regimes.” KSG Working Paper , No.47. 37. Lindgren, C., Garcia, G., and Saal, M. (1996), “Bank Soundness and Macroeconomic Policy.” International Monetary Fund, Washington, D.C. 38. Mendis, C. (2002), “External Shocks and Banking Crises in Developing Countries: Does the Exchange Rate Regime Matter?” CESifo Working Paper, No.759. 39. Mishkin, F. (1997), “Understanding Financial Crises: A Developing Country Perspective.” NBER Working Paper, No.5600. 40. Pill, H., and Pradhan, M. (1995), “Financial Indicators and Financial Change in Africa and Asia.” IMF Working Paper, No.23. 41. Reinhart, C., and Rogoff, K. (2004), “The Modern History of Exchange Rate Arrangements: A Reinterpretation.” Quarterly Journal of Economics, Vol.119, No.1, pp.1-48. 42. Sheng, A. (1996), “Bank Restructuring: Lessions from the 1980s.” The World Bank, Washington, D.C. 43. Velasco, A. (1987), “Financial Crises and Balance of Payments Crises: A Simple Model of the Southern Cone Experience.” Journal of Development Economics, Vol.27, No.1-2, pp.263-283. 44. Velasco, A., and Cespedes, L. F. (1999), “Exchange Rate Arrangements: A Developing Country Perspective.” Mimeo, New York University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/30482 | - |
| dc.description.abstract | 自1980年代以來，許多國家都相繼發生銀行危機，不但重創了該國的金融部門以及經濟發展，並為該國帶來難以估計的社會成本。綜觀這些發生危機的國家，其中不乏有金融體系穩健且實行浮動匯率制度的工業化國家；也包含了因其國內金融環境還無法適應浮動匯率，不得不採行釘住美元之固定匯率制度的發展中國家。
本文的研究重點在於探討不同匯率制度的選擇對於銀行危機發生之間的關連性。故此，本文實證研究以1980年至2004年間的季資料做為研究期間，選取29個樣本國家，利用信號法以及固定效應之二元Panel Logit Model相結合，建立一個引入匯率制度變數的銀行危機預警模型，來探討匯率制度對於銀行危機發生機率的影響。考慮到匯率制度變數在銀行危機預警模型中具有內生化的問題，本文參考DomaDomaç and Martinez-Peria (2003)的作法，嘗試對匯率 制度解釋指標採用工具變數法，來解決解釋變數與應變數產生聯立性偏誤(simultaneity bias)的問題。 從本文綜合指標模型的實證結果發現，考慮匯率制度與銀行危機內生性，匯率制度工具變數大致上都顯著且一致呈現負相關，亦即較為穩定的匯率制度會降低銀行危機發生的機率。此外，實證結果也發現，一般預警模型會比基本預警模型的解釋能力稍弱，其原因可能為解釋變數間相關性高的干擾，模糊了原解釋指標對銀行危機發生機率的影響程度。 | zh_TW |
| dc.description.abstract | A lot of countries suffered from banking crises since 1980. In these countries, banking crises not only hurt financial sector and economic development, but also incur inestimable cost to society. Moreover, these countries which occured comprise not only industrialized countries adopting a float exchange rate but also developing countries adopting a fixed exchange rate.
This paper investigates mainly the relationship between exchange rate regimes and banking crises. Using a seasonal data set including 29 sample countries for the period 1980-2004 and combining the signal approach with the binary panel logit model, we integrate the explanatory variable of exchange rate regimes to construct an early-warning model of banking crises to examine whether the choice of exchange rate regimes affects the likelihood of banking crises. To consider that the exchange rate regime could be endogenous, this paper refers to Domaç and Martinez-Peria (2003) and utilizes an instrumental variables regression to resovle the problem of simultaneity bias. According to the empirical findings, we find the explanatory variable of exchange rate regimes is mostly negative and significant. That is to say, the exchange rate stability may reduces the probability of banking crises. In addition, we also find that the basic model is comparatively superior to the general model, the reason is maybe that the higher correlation among explanatory variables blurs the impact of the explanatory variable on the likelihood of banking crises. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T02:04:58Z (GMT). No. of bitstreams: 1 ntu-96-R94323028-1.pdf: 1244073 bytes, checksum: a379eef498313f44a213a41df5fd6a48 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 口試委員會審定書...................................i
誌謝..............................................ii 中文摘要.........................................iii 英文摘要..........................................iv 第一章 緒論.......................................1 1.1 研究動機與目的................................1 1.2 研究架構......................................2 第二章 文獻回顧...................................4 2.1 理論文獻回顧..................................4 2.2 實證文獻回顧..................................7 第三章 研究設計..................................10 3.1 研究時間、對象及變數選取.....................10 3.2 銀行危機與解釋變數的定義.....................11 3.3 信號法之應用.................................19 3.4 固定效應之Logit Model與工具變數..............21 第四章 實證結果與分析............................25 4.1 個別指標選擇.................................25 4.2 匯率制度工具變數.............................28 4.3 建立綜合指標模型.............................32 4.4 實證結果之經濟解釋...........................38 第五章 結論與建議................................41 5.1 研究結論.....................................41 5.2 未來研究建議.................................42 參考文獻..........................................43 附錄..............................................47 | |
| dc.language.iso | zh-TW | |
| dc.subject | Logit Model | zh_TW |
| dc.subject | 銀行危機 | zh_TW |
| dc.subject | 匯率制度 | zh_TW |
| dc.subject | Exchange Rate Regime | en |
| dc.subject | Banking Crises | en |
| dc.subject | Logit Model | en |
| dc.title | 匯率制度與銀行危機關連性之實證分析 | zh_TW |
| dc.title | An Empirical Study on the Relationship between Exchange Rate Regimes and Banking Crises | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林建甫(Chien-Fu Lin),林惠玲(Hui-Lin Lin) | |
| dc.subject.keyword | 銀行危機,匯率制度,Logit Model, | zh_TW |
| dc.subject.keyword | Banking Crises,Exchange Rate Regime,Logit Model, | en |
| dc.relation.page | 51 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-03 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| Appears in Collections: | 經濟學系 | |
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|---|---|---|---|
| ntu-96-1.pdf Restricted Access | 1.21 MB | Adobe PDF |
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